CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 01-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jun-2011 |
01-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1988 |
1.1892 |
-0.0096 |
-0.8% |
1.1990 |
| High |
1.2047 |
1.1908 |
-0.0139 |
-1.2% |
1.2091 |
| Low |
1.1819 |
1.1731 |
-0.0088 |
-0.7% |
1.1731 |
| Close |
1.1907 |
1.1792 |
-0.0115 |
-1.0% |
1.1792 |
| Range |
0.0228 |
0.0177 |
-0.0051 |
-22.4% |
0.0360 |
| ATR |
0.0124 |
0.0128 |
0.0004 |
3.0% |
0.0000 |
| Volume |
57,130 |
50,949 |
-6,181 |
-10.8% |
233,297 |
|
| Daily Pivots for day following 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2341 |
1.2244 |
1.1889 |
|
| R3 |
1.2164 |
1.2067 |
1.1841 |
|
| R2 |
1.1987 |
1.1987 |
1.1824 |
|
| R1 |
1.1890 |
1.1890 |
1.1808 |
1.1850 |
| PP |
1.1810 |
1.1810 |
1.1810 |
1.1791 |
| S1 |
1.1713 |
1.1713 |
1.1776 |
1.1673 |
| S2 |
1.1633 |
1.1633 |
1.1760 |
|
| S3 |
1.1456 |
1.1536 |
1.1743 |
|
| S4 |
1.1279 |
1.1359 |
1.1695 |
|
|
| Weekly Pivots for week ending 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2951 |
1.2732 |
1.1990 |
|
| R3 |
1.2591 |
1.2372 |
1.1891 |
|
| R2 |
1.2231 |
1.2231 |
1.1858 |
|
| R1 |
1.2012 |
1.2012 |
1.1825 |
1.1942 |
| PP |
1.1871 |
1.1871 |
1.1871 |
1.1836 |
| S1 |
1.1652 |
1.1652 |
1.1759 |
1.1582 |
| S2 |
1.1511 |
1.1511 |
1.1726 |
|
| S3 |
1.1151 |
1.1292 |
1.1693 |
|
| S4 |
1.0791 |
1.0932 |
1.1594 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2091 |
1.1731 |
0.0360 |
3.1% |
0.0146 |
1.2% |
17% |
False |
True |
46,659 |
| 10 |
1.2091 |
1.1731 |
0.0360 |
3.1% |
0.0135 |
1.1% |
17% |
False |
True |
41,486 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.3% |
0.0121 |
1.0% |
23% |
False |
False |
37,809 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.6% |
0.0122 |
1.0% |
67% |
False |
False |
19,093 |
| 60 |
1.2091 |
1.0910 |
0.1181 |
10.0% |
0.0108 |
0.9% |
75% |
False |
False |
12,744 |
| 80 |
1.2091 |
1.0725 |
0.1366 |
11.6% |
0.0093 |
0.8% |
78% |
False |
False |
9,562 |
| 100 |
1.2091 |
1.0291 |
0.1800 |
15.3% |
0.0076 |
0.6% |
83% |
False |
False |
7,650 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.3% |
0.0064 |
0.5% |
83% |
False |
False |
6,375 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2660 |
|
2.618 |
1.2371 |
|
1.618 |
1.2194 |
|
1.000 |
1.2085 |
|
0.618 |
1.2017 |
|
HIGH |
1.1908 |
|
0.618 |
1.1840 |
|
0.500 |
1.1820 |
|
0.382 |
1.1799 |
|
LOW |
1.1731 |
|
0.618 |
1.1622 |
|
1.000 |
1.1554 |
|
1.618 |
1.1445 |
|
2.618 |
1.1268 |
|
4.250 |
1.0979 |
|
|
| Fisher Pivots for day following 01-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1820 |
1.1895 |
| PP |
1.1810 |
1.1861 |
| S1 |
1.1801 |
1.1826 |
|